predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level … the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide … evidence for a significantly positive link between expected returns and the call-put options' implied volatility spread that …

addition, conditional return volatility is significantly affected by lagged volatility rather than sentiment changes …

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

focuses on volatility, where volatility is derived from a GARCH model. The results suggest that models which account for …

intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the … volatility dynamics. We find that Indian stock market exhibits 'reverse J' shaped intraday volatility with much higher intraday … to small cap stocks. Higher volatility is also observed in the first one-hour of trade after weekends, in the first half …

In this article the relationship between market return and volatility is examined by applying out-of-sample methodology … inconsistent with portfolio theory implications in NASDAQ, ISE and TSE. However I found only negative relationship between … unexpected volatility and monthly returns in most of international exchanges. I didn't also find any significant relationship …